I was aware that the northern cities of Elsweyr are close to the border, but not THAT close! Aren't these the more savage cities of the desert? It made me think of a theme of finding yourself in Elsweyr. For example, and yes this town is far off, but the locals of Kintyriad might say, "Be careful how far down the Dimirius you go, adventurer, you might find yourself in Elsweyr." Rimmen is almost perfectly between Bravil and Leyawiin. The locals of the Niben river might give you a similar warning of staying close to the road.

Though quests surrounding this area are probably already being discussed, this crossing the province might also inspire a good in game book (whether it's funny,horrifying, or whatever else).

Imperials will comment on the nearness the Elsweyr cities, especially since many of the border settlements maintain trade relation with them. This goes double for the Molaquin Ren, which used to be Elsweyr territory but was annexed by Cyrodiil not too long ago. However, people are unlikely to "warn" the player of venturing there: the borderlands are not particularly more dangerous on either side of the border, and there is a large Khajiit population all across the land. Some of these cities, like Rimmen, are known to be centers of (expat akaviri) culture. Not really something to be warned against.